Thank you for the help.

Here is the final working code in case somebody needs it

#define SN "DimmableLEDs"
#define SV "1.0"

#include <MySensor.h> 
#include <SPI.h>

#define LED_PIN_1 3
#define LED_PIN_2 5
#define LED_PIN_3 6
#define FADE_DELAY 10
#define DIMMER_NODE_1 0
#define DIMMER_NODE_2 1
#define DIMMER_NODE_3 2

MySensor gw;

byte currentLevel[3] = {0,0,0};
MyMessage dimmerMsg0(0, V_DIMMER);
MyMessage lightMsg0(0, V_LIGHT);
MyMessage dimmerMsg1(1, V_DIMMER);
MyMessage lightMsg1(1, V_LIGHT);
MyMessage dimmerMsg2(2, V_DIMMER);
MyMessage lightMsg2(2, V_LIGHT);



void setup()  
{ 
  Serial.println( SN ); 
  gw.begin( incomingMessage );
  
  // Register the LED Dimmable Light with the gateway
  gw.present( DIMMER_NODE_1, S_DIMMER );
  gw.wait( 50 );
  gw.present( DIMMER_NODE_2, S_DIMMER );
  gw.wait( 50 );
  gw.present( DIMMER_NODE_3, S_DIMMER );
  gw.wait( 50 );
  
  gw.sendSketchInfo(SN, SV);
  gw.wait( 50 );
  // Pull the gateway's current dim level - restore light level upon sendor node power-up
  gw.request( DIMMER_NODE_1, V_DIMMER );
  gw.wait( 50 );
  gw.request( DIMMER_NODE_2, V_DIMMER );
  gw.wait( 50 );
  gw.request( DIMMER_NODE_3, V_DIMMER );
}

void loop() 
{
  gw.process();
}

void incomingMessage(const MyMessage &message) {
  if (message.type == V_LIGHT || message.type == V_DIMMER) {
    
    //  Retrieve the power or dim level from the incoming request message
    int requestedLevel = atoi( message.data );
    
    // Adjust incoming level if this is a V_LIGHT variable update [0 == off, 1 == on]
    requestedLevel *= ( message.type == V_LIGHT ? 100 : 1 );
    
    // Clip incoming level to valid range of 0 to 100
    requestedLevel = requestedLevel > 100 ? 100 : requestedLevel;
    requestedLevel = requestedLevel < 0   ? 0   : requestedLevel;
    
    Serial.print( "Changing level to " );
    Serial.print( requestedLevel );
    Serial.print( ", from " ); 
    Serial.println( currentLevel[message.sensor] );

    fadeToLevel( requestedLevel, message.sensor);
    
  // Inform the gateway of the current DimmableLED's SwitchPower1 and LoadLevelStatus value...
  // hek comment: Is this really nessesary?
switch(message.sensor)
  {
    case 0:
      gw.send(lightMsg0.set(currentLevel[0] > 0 ? 1 : 0));
      gw.send( dimmerMsg0.set(currentLevel[0]) );
      break;
    case 1:
      gw.send(lightMsg1.set(currentLevel[1] > 0 ? 1 : 0));
      gw.send( dimmerMsg1.set(currentLevel[1]) );
      break;
    case 2:
      gw.send(lightMsg2.set(currentLevel[2] > 0 ? 1 : 0));
      gw.send( dimmerMsg2.set(currentLevel[2]) );
      break;  
  }
    
    }
}

void fadeToLevel( int toLevel, byte sensorId ) {

  int delta = ( toLevel - currentLevel[sensorId] ) < 0 ? -1 : 1;
  
  while ( currentLevel[sensorId] != toLevel ) {
    currentLevel[sensorId] += delta;
  
 switch(sensorId)
  {
    case 0:
      analogWrite( LED_PIN_1, (int)(currentLevel[sensorId] / 100. * 255) );
      break;
    case 1:
      analogWrite( LED_PIN_2, (int)(currentLevel[sensorId] / 100. * 255) );  
      break;
    case 2:
      analogWrite( LED_PIN_3, (int)(currentLevel[sensorId] / 100. * 255) );
      break;      
  }
    
    delay( FADE_DELAY );
  }
}```

@dbemowsk

Ok took the measurements once again on the led. This time measuriong only LED pins and not the live neutral wire. Between 1 and 3 gave me 0,1AC and 1,8DC when red and 0,1AC and 0,1DC when green. So just connected the anlogue pin of arduino to pin3 of LED and it works. Readings 19-70 when red led turned on. And 0-3 when off.
Just wonder how this led works from AC and is it still a good advice to put optocoupler into it?

Yes it was. Was powering the radio off an Arduino Nano's 3,3V and found that it didn't provide enough power to the radio. Switched to another nano and everything was fine. Thank you.

P.S. A capacitor on the nrf power line didn't help

Thanks. Will await eagerly for v1.8 as it seems this is the only great RGB code left for mysensors